Zonal polynomials and hypergeometric functions of quaternion matrix argument

Abstract

We define zonal polynomials of quaternion matrix argument and deduce some important formulae of zonal polynomials and hypergeometric functions of quaternion matrix argument. As an application, we give the distributions of the largest and smallest eigenvalues of a quaternion central Wishart matrix $W\sim \mathbb{Q}W(n,\Sigma )$, respectively.

22 pages. Communications in Statistics - Theory and Methods (appear)